Volumetric scatter shader does not show light focused through lens correctly
It is working, it's just not visible (yet).
Try using the branched path tracer to sample more volume bounces per sample:




Switch to the Branched Path Tracing integrator
Set the number of volume samples to something large (you may also want to increase the samples for some of the other passes as well)
Set the number of Anti-Aliasing samples. These correspond to the number of initial samples cast from each pixel (See What is branched path tracing and how is it useful? for more detail)
Note the total number of samples per pass (21000 volume samples, and still not nearly enough!).


Here is your file rendered with the settings shown above (to get a better caustic on the diffuse plane, try increasing the number of diffuse samples a bit):